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stat.ME2026
Estimating the Conditional Forecast-Revision Scale in Sequential Models: Local-Smoothing Limits, Matched Models, and Cost--Accuracy Trade-offs
Hui-Mean Foo, Yuan-chin Ivan Chang
The \emph{conditional forecast-revision scale} $\It=\{\Var(\E[X_{t+1}\mid\F_t]\mid\F_{t-1})\}^{1/2}$ measures the history-specific size of the forecast update induced by observing…
stat.ME2026
Target-Oriented Statistical Compression: Sufficiency, Reverse Martingales, and Sequential Monitoring
Yuan-chin Ivan Chang
Statistical procedures rarely retain all features of the observed data. A sufficient statistic removes information irrelevant to a parameter; a maximum likelihood estimate compress…
stat.ME2026
PCA-Guided Quantile Sampling: Preserving Data Structure in Large-Scale Subsampling
Foo Hui-Mean, Yuan-chin Ivan Chang
We introduce Principal Component Analysis guided Quantile Sampling (PCA QS), a novel sampling framework designed to preserve both the statistical and geometric structure of large s…